In real-world scenarios, the distribution of the underlying r.v. is seldom available in a closed form. Instead, one can obtain samples, which are used to estimate the chosen risk measure. Risk estimation has received a lot of attention in the recent past, cf. [1]}, [2]}, [3]}, [4]}, [5]}, [6]}, [7]}, [8]}, [9]}, [10]}, [11]}, [12]}, with CVaR being the dominant choice for the risk measure.
